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Commission Implementing Regulation (EU) 2018/1627Show full title
Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance)
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ANNEX IX
“ANNEX XXII
REPORTING ON AMM MATURITY LADDER
| AMM TEMPLATES | ||
|---|---|---|
| Template number | Template code | Name of the template /group of templates |
| MATURITY LADDER TEMPLATE | ||
| 66 | C 66.01 | MATURITY LADDER TEMPLATE |
C 66.01 - MATURITY LADDER
Total and significant currencies
| Code | ID | Item | Contractual Flow Maturity | |||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | |||
| 010-380 | 1 | OUTFLOWS | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
| 010 | 1.1 | Liabilities resulting from securities issued (if not treated as retail deposits) | ||||||||||||||||||||||
| 020 | 1.1.1 | unsecured bonds due | ||||||||||||||||||||||
| 030 | 1.1.2 | regulated covered bonds | ||||||||||||||||||||||
| 040 | 1.1.3 | securitisations due | ||||||||||||||||||||||
| 050 | 1.1.4 | other | ||||||||||||||||||||||
| 060 | 1.2 | Liabilities resulting from secured lending and capital market driven transactions collateralised by: | ||||||||||||||||||||||
| 070 | 1.2.1 | Level 1 tradable assets | ||||||||||||||||||||||
| 080 | 1.2.1.1 | Level 1 excluding covered bonds | ||||||||||||||||||||||
| 090 | 1.2.1.1.1 | Level 1 central bank | ||||||||||||||||||||||
| 100 | 1.2.1.1.2 | Level 1 (CQS 1) | ||||||||||||||||||||||
| 110 | 1.2.1.1.3 | Level 1 (CQS2, CQS3) | ||||||||||||||||||||||
| 120 | 1.2.1.1.4 | Level 1 (CQS4+) | ||||||||||||||||||||||
| 130 | 1.2.1.2 | Level 1 covered bonds (CQS1) | ||||||||||||||||||||||
| 140 | 1.2.2 | Level 2A tradable assets | ||||||||||||||||||||||
| 150 | 1.2.2.1 | Level 2A corporate bonds (CQS1) | ||||||||||||||||||||||
| 160 | 1.2.2.2 | Level 2A covered bonds (CQS1, CQS2) | ||||||||||||||||||||||
| 170 | 1.2.2.3 | Level 2A public sector (CQS1, CQS2) | ||||||||||||||||||||||
| 180 | 1.2.3 | Level 2B tradable assets | ||||||||||||||||||||||
| 190 | 1.2.3.1 | Level 2B Asset Backed Securities (ABS) (CQS1) | ||||||||||||||||||||||
| 200 | 1.2.3.2 | Level 2B covered bonds (CQS1-6) | ||||||||||||||||||||||
| 210 | 1.2.3.3 | Level 2B: corporate bonds (CQ1-3) | ||||||||||||||||||||||
| 220 | 1.2.3.4 | Level 2B shares | ||||||||||||||||||||||
| 230 | 1.2.3.5 | Level 2B public sector (CQS 3-5) | ||||||||||||||||||||||
| 240 | 1.2.4 | other tradable assets | ||||||||||||||||||||||
| 250 | 1.2.5 | other assets | ||||||||||||||||||||||
| 260 | 1.3 | Liabilities not reported in 1.2, resulting from deposits received (excluding deposits received as collateral) | ||||||||||||||||||||||
| 270 | 1.3.1 | stable retail deposits | ||||||||||||||||||||||
| 280 | 1.3.2 | other retail deposits | ||||||||||||||||||||||
| 290 | 1.3.3 | operational deposits | ||||||||||||||||||||||
| 300 | 1.3.4 | non-operational deposits from credit institutions | ||||||||||||||||||||||
| 310 | 1.3.5 | non-operational deposits from other financial customers | ||||||||||||||||||||||
| 320 | 1.3.6 | non-operational deposits from central banks | ||||||||||||||||||||||
| 330 | 1.3.7 | non-operational deposits from non-financial corporates | ||||||||||||||||||||||
| 340 | 1.3.8 | non-operational deposits from other counterparties | ||||||||||||||||||||||
| 350 | 1.4 | FX-swaps maturing | ||||||||||||||||||||||
| 360 | 1.5 | Derivatives amount payables other than those reported in 1.4 | ||||||||||||||||||||||
| 370 | 1.6 | Other outflows | ||||||||||||||||||||||
| 380 | 1.7 | Total outflows | ||||||||||||||||||||||
| 390-720 | 2 | INFLOWS | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
| 390 | 2.1 | Monies due from secured lending and capital market driven transactions collateralised by: | ||||||||||||||||||||||
| 400 | 2.1.1 | Level 1 tradable assets | ||||||||||||||||||||||
| 410 | 2.1.1.1 | Level 1 excluding covered bonds | ||||||||||||||||||||||
| 420 | 2.1.1.1.1 | Level 1 central bank | ||||||||||||||||||||||
| 430 | 2.1.1.1.2 | Level 1 (CQS 1) | ||||||||||||||||||||||
| 440 | 2.1.1.1.3 | Level 1 (CQS2, CQS3) | ||||||||||||||||||||||
| 450 | 2.1.1.1.4 | Level 1 (CQS4+) | ||||||||||||||||||||||
| 460 | 2.1.1.2 | Level 1 covered bonds (CQS1) | ||||||||||||||||||||||
| 470 | 2.1.2 | Level 2A tradable assets | ||||||||||||||||||||||
| 480 | 2.1.2.1 | Level 2A corporate bonds (CQS1) | ||||||||||||||||||||||
| 490 | 2.1.2.2 | Level 2A covered bonds (CQS1, CQS2) | ||||||||||||||||||||||
| 500 | 2.1.2.3 | Level 2A public sector (CQS1, CQS2) | ||||||||||||||||||||||
| 510 | 2.1.3 | Level 2B tradable assets | ||||||||||||||||||||||
| 520 | 2.1.3.1 | Level 2B ABS (CQS1) | ||||||||||||||||||||||
| 530 | 2.1.3.2 | Level 2B covered bonds (CQS1-6) | ||||||||||||||||||||||
| 540 | 2.1.3.3 | Level 2B: corporate bonds (CQ1-3) | ||||||||||||||||||||||
| 550 | 2.1.3.4 | Level 2B shares | ||||||||||||||||||||||
| 560 | 2.1.3.5 | Level 2B public sector (CQS 3-5) | ||||||||||||||||||||||
| 570 | 2.1.4 | other tradable assets | ||||||||||||||||||||||
| 580 | 2.1.5 | other assets | ||||||||||||||||||||||
| 590 | 2.2 | Monies due not reported in 2.1 resulting from loans and advances granted to: | ||||||||||||||||||||||
| 600 | 2.2.1 | retail customers | ||||||||||||||||||||||
| 610 | 2.2.2 | non-financial corporates | ||||||||||||||||||||||
| 620 | 2.2.3 | credit institutions | ||||||||||||||||||||||
| 630 | 2.2.4 | other financial customers | ||||||||||||||||||||||
| 640 | 2.2.5 | central banks | ||||||||||||||||||||||
| 650 | 2.2.6 | other counterparties | ||||||||||||||||||||||
| 660 | 2.3 | FX-swaps maturing | ||||||||||||||||||||||
| 670 | 2.4 | Derivatives amount receivables other than those reported in 2.3 | ||||||||||||||||||||||
| 680 | 2.5 | Paper in own portfolio maturing | ||||||||||||||||||||||
| 690 | 2.6 | Other inflows | ||||||||||||||||||||||
| 700 | 2.7 | Total inflows | ||||||||||||||||||||||
| 710 | 2.8 | Net contractual gap | ||||||||||||||||||||||
| 720 | 2.9 | Cumulated net contractual gap | ||||||||||||||||||||||
| 730-1080 | 3 | COUNTERBALANCING CAPACITY | Initial stock | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years |
| 730 | 3.1 | coins and bank notes | ||||||||||||||||||||||
| 740 | 3.2 | Withdrawable central bank reserves | ||||||||||||||||||||||
| 750 | 3.3 | Level 1 tradable assets | ||||||||||||||||||||||
| 760 | 3.3.1 | Level 1 excluding covered bonds | ||||||||||||||||||||||
| 770 | 3.3.1.1 | Level 1 central bank | ||||||||||||||||||||||
| 780 | 3.3.1.2 | Level 1 (CQS 1) | ||||||||||||||||||||||
| 790 | 3.3.1.3 | Level 1 (CQS2, CQS3) | ||||||||||||||||||||||
| 800 | 3.3.1.4 | Level 1 (CQS4+) | ||||||||||||||||||||||
| 810 | 3.3.2 | Level 1 covered bonds (CQS1) | ||||||||||||||||||||||
| 820 | 3.4 | Level 2A tradable assets | ||||||||||||||||||||||
| 830 | 3.4.1 | Level 2A corporate bonds (CQS1) | ||||||||||||||||||||||
| 840 | 3.4.3 | Level 2A covered bonds (CQS 1, CQS2) | ||||||||||||||||||||||
| 850 | 3.4.4 | Level 2A public sector (CQS1, CQS2) | ||||||||||||||||||||||
| 860 | 3.5 | Level 2B tradable assets | ||||||||||||||||||||||
| 870 | 3.5.1 | Level 2B ABS (CQS1) | ||||||||||||||||||||||
| 880 | 3.5.2 | Level 2B covered bonds (CQS1-6) | ||||||||||||||||||||||
| 890 | 3.5.3 | Level 2B corporate bonds (CQ1-3) | ||||||||||||||||||||||
| 900 | 3.5.4 | Level 2B shares | ||||||||||||||||||||||
| 910 | 3.5.5 | Level 2B public sector (CQS 3-5) | ||||||||||||||||||||||
| 920 | 3.6 | other tradable assets | ||||||||||||||||||||||
| 930 | 3.6.1 | central government (CQS1) | ||||||||||||||||||||||
| 940 | 3.6.2 | central government (CQS 2 & 3) | ||||||||||||||||||||||
| 950 | 3.6.3 | shares | ||||||||||||||||||||||
| 960 | 3.6.4 | covered bonds | ||||||||||||||||||||||
| 970 | 3.6.5 | ABS | ||||||||||||||||||||||
| 980 | 3.6.6 | other tradable assets | ||||||||||||||||||||||
| 990 | 3.7 | non tradable assets eligible for central banks | ||||||||||||||||||||||
| 1000 | 3.8 | undrawn committed facilities received | ||||||||||||||||||||||
| 1010 | 3.8.1 | Level 1 facilities | ||||||||||||||||||||||
| 1020 | 3.8.2 | Level 2B restricted use facilities | ||||||||||||||||||||||
| 1030 | 3.8.3 | Level 2B IPS facilities | ||||||||||||||||||||||
| 1040 | 3.8.4 | other facilities | ||||||||||||||||||||||
| 1050 | 3.8.4.1 | from intragroup counterparties | ||||||||||||||||||||||
| 1060 | 3.8.4.2 | from other counterparties | ||||||||||||||||||||||
| 1070 | 3.9 | Net change of Counterbalancing Capacity | ||||||||||||||||||||||
| 1080 | 3.10 | Cumulated Counterbalancing Capacity | ||||||||||||||||||||||
| 1090-1130 | 4 | CONTINGENCIES | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
| 1090 | 4.1 | Outflows from committed facilities | ||||||||||||||||||||||
| 1100 | 4.1.1 | Committed credit facilities | ||||||||||||||||||||||
| 1110 | 4.1.1.1 | considered as Level 2B by the receiver | ||||||||||||||||||||||
| 1120 | 4.1.1.2 | other | ||||||||||||||||||||||
| 1130 | 4.1.2 | Liquidity facilities | ||||||||||||||||||||||
| 1140 | 4.2 | Outflows due to downgrade triggers | ||||||||||||||||||||||
| 1150-1290 | MEMORANDUM ITEMS | Initial stock | Overnight | Greater than overnight up to 2 days | Greater than 2 days up to 3 days | Greater than 3 days up to 4 days | Greater than 4 days up to 5 days | Greater than 5 days up to 6 days | Greater than 6 days up to 7 days | Greater than 7 days up to 2 weeks | Greater than 2 weeks up to 3 weeks | Greater than 3 weeks up to 30 days | Greater than 30 days up to 5 weeks | Greater than 5 weeks up to 2 months | Greater than 2 months up to 3 months | Greater than 3 months up to 4 months | Greater than 4 months up to 5 months | Greater than 5 months up to 6 months | Greater than 6 months up to 9 months | Greater than 9 months up to 12 months | Greater than 12 months up to 2 years | Greater than 2 years up to 5 years | Greater than 5 years | |
| 1200 | 10 | Intragroup or IPS outflows (excluding FX) | ||||||||||||||||||||||
| 1210 | 11 | Intragroup or IPS inflows (excluding FX and maturing securities) | ||||||||||||||||||||||
| 1220 | 12 | Intragroup or IPS inflows from maturing securities | ||||||||||||||||||||||
| 1230 | 13 | HQLA central bank eligible | ||||||||||||||||||||||
| 1240 | 14 | non-HQLA central bank eligible | ||||||||||||||||||||||
| 1270 | 17 | Behavioural outflows from deposits | ||||||||||||||||||||||
| 1280 | 18 | Behavioural inflows from loans and advances | ||||||||||||||||||||||
| 1290 | 19 | Behavioural draw-downs of committed facilities” | ||||||||||||||||||||||
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